Tests of weak-form efficiency of the Dhaka stock exchange

Journal of Business Finance and Accounting

Volumn 32, Issue 7-8, 2005, Pages 1613-1624

  Islam, Ainul ^a   Khaled, Mohammed ^b  

^a MASSEY UNIVERSITY   (New Zealand)

^b VICTORIA UNIVERSITY OF WELLINGTON   (New Zealand)

Author keywords

Dhaka stock exchange; Efficient market; Variance ratio

Indexed keywords

EID: 27844517466     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.0306-686X.2005.00642.x     Document Type: Review

References (13)

1. Abrosimova, N. and D. Linowski (2002), 'Testing Weak-Form Efficiency of the Russian Stock Market'(http://papers.ssrn.com/sol3/papers.cfm?abstract_id= 302287, SSRN Working Paper downloaded on February 20).
2. Alam, I.M., T. Hasan and P. Kadapakkam (1999), 'An Application of Variance-Ratio Test to Five Asian Stock Markets', Review of Pacific Basin Financial Markets and Policies, Vol. 2, pp. 301-15.
3. Cheung, K-C. and J.A. Coutts (2001), 'A Note on Weak Form Market Efficiency in Security Prices: Evidence from the Hong Kong Stock Exchange', Applied Economics Letters, Vol. 8, pp. 407-10.
4. Chow, K.V. and K.C. Denning (1993), 'A Simple Multiple Variance Ratio Test', Journal of Econometrics, Vol. 58, pp. 385-401.
5. Claessens, S., S. Dasgupta and J. Glen (1993), 'Return Behaviour in Emerging Stock Markets', The World Bank Economic Review, Vol. 9, pp. 131-51.
6. Groenewold, N. (1997), 'Share Market Efficiency: Tests Using Daily Data for Australia and New Zealand', Applied Financial Economics, Vol. 7, pp. 645-57.
7. Lee, C.F., G-M. Chen and O.M. Rui (2001), 'Stock Returns and Volatility on China's Stock Markets', Journal of Financial Research, Vol. 24, No. 4, pp. 523-43.
8. Lo, A.W. and A.C. MacKinlay (1988), 'Stock Market Prices Do Not Follow Random Walks', The Review of Financial Studies, Vol. 1, No. 1, pp. 41-66.
9. _ _ (1989), 'The Size and Power of the Variance Ratio Test in Finite Samples', Journal of Econometrics, Vol. 40, pp. 203-38.
10. Miller, R.G. (1981), Simultaneous Statistical Inference (2nd ed., Springer-Verlag, New York).
11. Mobarek, A. and K. Keasey (2002), 'Weak-Form Market Efficiency of an Emerging Market: Evidence from Dhaka Stock Market of Bangladesh' (http://www.bath.ac.uk/Centres/CDS/enbs-papers/mobarek_new.htm, Working Paper downloaded on February 12).
12. Poshakwale, S. (1996), 'Evidence on Weak Form Efficiency and Day of the Week Effect in the Indian Stock Market', Finance India, Vol. 3, pp. 605-16.
13. Smith, G., K. Jefferies and H-J. Ryoo (2002), 'African Stock Markets: Multiple Variance Ratio Tests of Random Walks', Applied Financial Economics, Vol. 12, No. 7, pp. 475-84.